Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0108
Annualized Std Dev 0.1823
Annualized Sharpe (Rf=0%) -0.0592

Row

Daily Return Statistics

Close
Observations 4628.0000
NAs 1.0000
Minimum -0.1952
Quartile 1 -0.0037
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0044
Maximum 0.2785
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0115
Skewness 1.2014
Kurtosis 108.7533

Downside Risk

Close
Semi Deviation 0.0083
Gain Deviation 0.0093
Loss Deviation 0.0101
Downside Deviation (MAR=210%) 0.0129
Downside Deviation (Rf=0%) 0.0083
Downside Deviation (0%) 0.0083
Maximum Drawdown 0.6749
Historical VaR (95%) -0.0134
Historical ES (95%) -0.0264
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2007-04-03 2008-12-15 NA -0.6749 3517 431 NA
2002-10-30 2004-05-13 2005-06-07 -0.1459 655 387 268
2006-01-09 2006-04-19 2006-11-30 -0.1009 227 70 157
2005-09-14 2005-10-20 2005-12-27 -0.0567 73 27 46
2006-12-07 2007-01-24 2007-03-27 -0.0378 74 31 43

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA NA NA 0 0 0.5 0.5
2003 -1 -0.2 -1.2 0.5 -0.3 0 1 1 0.1 0.1 0.9 -0.4 0.4
2004 -0.8 -0.3 0.3 0.4 0.4 0.8 0.5 0 -0.2 0 0.3 0.2 1.5
2005 0.1 -0.7 0.8 0.5 0.3 0.3 -0.8 0.6 0.6 0.4 -0.3 -0.3 1.5
2006 -4.9 0.5 0.9 0.8 0.3 0.6 0.1 -0.2 0.2 0.4 0.4 1.1 0.1
2007 0.6 0.1 -0.2 0.3 0.1 -0.3 0.3 0.8 0 -0.8 0.3 1.8 2.8
2008 0.5 -1.6 1.4 -0.1 0.3 1.4 -0.2 -0.8 6.7 -0.5 -19.5 1.3 -12.7
2009 -0.5 -1.2 2 0.4 1.1 1.1 -0.3 0.4 -0.9 -0.3 -0.2 -0.2 1.4
2010 1.1 0.6 0.4 0.1 1.7 0.5 0.6 0.4 -0.1 0.2 -1 2 6.7
2011 0.8 -0.7 1.2 -0.2 -0.1 -0.4 1 0.3 0 -0.8 -0.4 0.4 1.1
2012 0.6 0.6 0.3 0.1 1 0.4 0.4 0.5 0.4 0.4 0.3 0 5
2013 1.5 -0.5 0.4 0.2 -1.2 0.2 -2 -0.3 0.8 -2.2 0.5 0 -2.7
2014 0.7 1.6 -0.1 -0.1 0.1 0 0 0.1 0.7 0.6 -0.1 0.3 3.9
2015 0.4 1 -0.1 -0.3 0.4 0.9 0.3 0.8 0.1 0.4 0.7 -0.3 4.3
2016 -0.4 0.2 0.7 0.5 1.1 0.3 -0.4 0.1 0.6 0.9 -1.5 1.2 3.3
2017 -0.2 0.4 -1.2 0.2 0.9 0.9 1.2 0.3 0 0.2 -0.1 -0.2 2.5
2018 -0.7 0.2 0.4 -0.3 0.5 -0.3 -1.4 -0.1 -0.2 0.3 0.2 0.1 -1.2
2019 -0.1 -0.1 0.2 0.6 0 0.3 -0.3 0.1 0.5 0.9 -0.1 0.2 2.2
2020 0 -1 -3.8 0.3 1.5 0.1 0.5 0 0.4 0.4 0.3 -0.8 -2
2021 -0.3 0.7 -0.2 NA NA NA NA NA NA NA NA NA 0.2

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart